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Econometric Analysis of Financial Data in Risk Management (continuation). Section III: Managing Operational Risk

Author

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  • Fantazzini, Dean

    (Moscow School of Economics – Moscow State University)

Abstract

We continue publishing the four-part consultation of professor of Moscow School of Economics of Lomonosov MSU Dean Fantazzini. The first part, that appeared in 2 (10), 2008 of the journal, dealt with the introduction to the problem (section one: basic concepts and types of financial risks, methods of measurement) and also with the econometric approach to analysis of market risks (section two).Here a detailed review of methods of operational risk management (section three) is given. Finally, the next two issues will contain the rest of material (section four). There will be considered probably the most important for the Russian financial system subject management of credit risks.The translation was carried out by Alexander Kudrov under professor’s Sergei Aivazian scientific direction

Suggested Citation

  • Fantazzini, Dean, 2008. "Econometric Analysis of Financial Data in Risk Management (continuation). Section III: Managing Operational Risk," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 11(3), pages 87-122.
    • Handle: RePEc:ris:apltrx:0024
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    References listed on IDEAS

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    Cited by:

    1. Брагин Антон Игоревич & Кузнецов Евгений Николаевич, 2011. "Анализ Значений Суверенного Кредитного Рейтинга И Его Моделирование," Российский внешнеэкономический вестник, CyberLeninka;Государственное образовательное учреждение Высшего профессионального образования Всероссийская академия внешней торговли Минэкономразвития России, vol. 2011(12), pages 21-36.
    2. Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.

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    More about this item

    Keywords

    Operational Risk; Value at Risk; Expected Shortfall; Basic Indicator Approach; Standardized Approach; Advanced Measurement Approaches; Loss Distribution Approach; Copula; Poisson Shock Model; Bayesian Copulas; Bayesian Marginals;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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